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Affine and quadratic Markov processes and their applications in finance

Chen, Li - 2004

Persistent link: https://www.econbiz.de/10003549391

Credit derivatives in an affine framework

Chen, Li; Filipović, Damir - In: Asia-Pacific financial markets 14 (2007) 1/2, pp. 123-140

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A simple model for credit migration and spread curves

Chen, Li; Filipović, Damir - In: Finance and stochastics 9 (2005) 2, pp. 211-231

Persistent link: https://www.econbiz.de/10002747172

Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns

Li, Chen; Li, Xiaohu - In: Insurance / Mathematics & economics 86 (2019), pp. 84-91

Persistent link: https://www.econbiz.de/10012058830

Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique

Wang, Shanshan; Chi, Guotai; Zhou, Ying; Chen, Li - In: The journal of risk model validation 17 (2023) 4, pp. 97-121

Persistent link: https://www.econbiz.de/10014485969

Pricing defaultable bonds under Hawkes jump-diffusion processes

Chen, Li; Ma, Yong; Xiao, Weilin - In: Finance research letters 47 (2022) 2, pp. 1-8

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Regulatory Changes and Loan Loss Provisions Management by Chinese Banks

Chen, Li; Emanuel, David M.; Li, Lina; Yang, Mu - 2022

PurposeThe authors examine whether Chinese banks use loan loss provisions (LLPs) for capital management, income smoothing and signaling purposes, and assess the effect of the recent regulatory changes following the implementation of Chinese Basel III on such...

Persistent link: https://www.econbiz.de/10014085624